How to Build an Exchange (2017)(janestreet.com) |
How to Build an Exchange (2017)(janestreet.com) |
It also could be that Jane Street succeeded regardless or even despite OCaml. At the end of the day OCaml isn't going to ensure that your trading strategies work. It's not going to suddenly create alpha. But I do suspect they've gotten serious hiring and marketing returns by using OCaml. And benefited the OCaml ecosystem as a byproduct, which is a pretty solid side-effect, even if side effects are not very functional :D
The idea that the language is part of their success is simply absurd. If anything having to have to develop and maintain an entire ecosystem probably slowed them down more than anything.
It’s gonna happen and it’s gonna be Rust
> you could stand to use a language like Rust that has an ecosystem and interoperability with C++.
Indeed :)
Even interns make $120/hr: https://www.levels.fyi/internships/
Interesting. Crypto has much less liquidly overnight compared to other markets, no? How would this work? Coinbase?
(How I know, 25 years writing exchanges).
How to Build an Exchange (2017) [video] - https://news.ycombinator.com/item?id=27879230 - July 2021 (12 comments)
I've been using the .NET port of Disruptor to good success. Once you understand the underlying pattern, you can apply it everywhere without pulling in a dependency.
You would be astonished at what will actually fit on 1 x86 thread in 2023. Instruction-level parallelism can give you unbelievable throughput, assuming your batches are reasonably-sized and everything fits neatly into the various caches.
Other related links:
https://martinfowler.com/articles/lmax.html
https://www.youtube.com/watch?v=qDhTjE0XmkE [Evolution of Financial Exchange Architectures]
doesn't the sub-milisecond speed contradict to the several hours pause in trading?
wouldn't be possible to impose some kind of a delay (say an hour) on all participants?
I feel obliged to attest that the people I knew working at Jane Street at that time were some of the straightest shooters one could know. My anecdote is that SBF's toxicity didn't originate in their culture. Perhaps it was a counteraction to it, if anything.
What really gave FTX a competitive advantage was its cross-margining system. It was super easy to post collateral in any supported asset, and all open positions were automatically margined against each other. So if you were doing something like pairs trades between spot and futures, you didn't need to constantly monitor and manually move capital between the silos. In hindsight though it's not clear if this was possible because of better engineering, or just because Alameda was internalizing all the risk.
https://www.forbes.com/profile/gary-wang-1/
It's intriguing how Forbes 400 list includes criminals. If someone tricks people into "investing" with them and they accumulate enough billions of US dollars, and it takes a few years for the authorities to act, then do they get a spot on the Forbes 400. What are the rules.
Everything would be in a different context, yes. But how would the content be different?
How?
Yes, we've heard that yadda yadda, Caroline Ellison, SBF, etc...
They pay VERY VERY well indeed.
I have no connection or interest in Jane Street but this sure gives me a positive impression of the company.
Gotta have a PhD in pure math though. That shit is bananas.
Some of these companies I have never even heard of before having entered CS—Jane Street, Citadel, HRT, DRW, Ansatz, Two Sigma... Their names and websites are cryptic, and their job position listings are even more so, unless one knows that they're mostly proprietary traders—in other words, making money for money's own sake.
It feels dirty and excessively capitalist—these companies don't even have products to show for all their effort. Any clients they do have probably already make millions to billions, too.
My friends defend themselves by saying 'HFTs make money by keeping the market liquid', 'there's nothing wrong with arbitrage', etc. That's fair, but I still feel that's just sugar-coating what I said.
At the same time, I don't really say anything in person to my friends, because, well, they're friends, and secondly, my lousy grades make me feel thoroughly unqualified to make any sort of criticism.
I personally would rather do embedded, automotive, avionics, or game engine development. I just wish I had someone to discuss this with. Hardly anyone I know wants to do these instead, because the salary is lousy to above average, the hours are as bad, and especially game development is considered a mostly rubbish job to have. It really sucks, because I've gamed all my life and always found video games pretty damn amazing, both technically and just in general. It was a pretty bad bubble-bursting moment when I discovered just how bad the game dev situation was—overwork, crunch, sexual abuse and sexism, bean-counter-led design and marketing decisions.
I'm not looking for 100% job satisfaction (I accept even the most exciting work will have its dull periods), but it would be nice if the thing I spent 8-10 hours a day doing for a salary was something that remotely excited me and others, instead of just mindlessly piping money from X to Y and back just because it paid half a million a year.
Ironically they only really keep the market liquid when the sun in shining. When there is a big crash and you really need liquidity most HFTs disappear.
They have put a lot of highly paid human traders out of business though which is something. The C++ devs might be earning a lot but its less than their predecessors.
A lot of HFTs have their own training programs anyway for the job specific knowledge, so it is more important to build up the right base math and/or dev background than to hyper fixate on HFTs all of undergrad, even if your end career goal is to make bank.
(This is not unique to this pairing of languages.)
> By 2015, all the Java shops (and many of the C++ shops too) had failed. Lots of companies tried to do something other than C++, but most of them chose wrong.
Obviously there's a potential recruiting benefit to funding contests and posting monthly puzzles and whatnot, but I still think it's a cool vibe that not a lot of other companies have.
Anyone with a base salary of $300k can obtain a similar payoff structure by taking out a $550k loan to invest in GOOG, and taking out additional smaller loans at each stock refresh. The tax benefits from capital gains/losses and time-value-of-money benefits from getting your bonus sooner should handily outweigh the cost of servicing the loan, but even in a worst-case scenario where you pay interest for no benefit, that example Google offer would be a lot more comparable to a $315k-$330k salary, not a $1M+ salary.
On the other hand, this, my friend, is absolute nonsense:
> Anyone with a base salary of $300k can obtain a similar payoff structure by taking out a $550k loan to invest in GOOG, and taking out additional smaller loans at each stock refresh.
This is only equivalent if you ignore downside risk, which in the case of an average young professional with no significant assets could ruin you. The RSUs give you significant upside over 4 years with absolutely zero risk.
Also you said this:
> The fact that a particular investment decision (GOOG) can accidentally push the individual's yearly increase in net worth past $1M
This makes me think you might not understand how RSUs work. They are W-2 income at the valuation at the time of vest. What we're talking about is 7 figure annual income. Not investment gains over time.
Anyone with a base salary of $300k can obtain a similar payoff structure by taking out a $550k loan to invest in GOOG
Take a peek at what Wolverine, Radix, or Jump are paying new grads though. It's generally like $500k+. Even Jane Street, which is a larger place that hires people who aren't published mathematicians (see: Sam Bankman-Fried) pays $750k
This is for traders and researchers though. You can get pretty similar early career salary + bonus as a SWE at JS or Citadel, which is probably what more people on HN would be considering. Do you know what kind of pay the smaller shops offer for pure SWE?
I’m sure it’s as good or better than big tech. But you don’t get to live in San Francisco and the work is a lot more boring.
yeah and that's the worst part, they take the brightest minds of the generation and have them working on moving money around instead of building fusion rockets
Many of them were or are interested in other things like compilers, home-labbing; a couple of them game, too. It's just that because we're about to graduate, job offers dominate the conversation, and HFT jobs dominate that conversation.
I'm not sure why crypto exchanges have such lousy technology. Lost acks, weird parser errors, missing order id fields, sessions giving no indication that the matching engine is down, etc.
It seems like any conceivable way an exchange can break will be encountered after only a couple months of trading. It's a complete shit show compared to traditional exchanges
The market favors move fast, market to retail, etc etc over spending time cutting microseconds off the 99th%.
A lot of the exchanges also don’t have people who know what they’re doing. Lots of normal startup folks coming from an environment where “premature optimization is the root of all evil” and “move fast break things” is the norm.
I trade regular stocks in my Chase account. A few times, it was down for maintenance after-hours, meaning I couldn't enqueue trades to execute the next day. Not a big deal, but doesn't inspire confidence.
Sounds like tuesday to me. One thing you learn about exchanges (I mean all of them as a software category) is that you can’t trust: documentation, reasonable expectations, the experience you’ve got last week, the idea that all symbols behave similarly, reproducibility on test servers and vice versa, to name a few. Don’t rely on these and you’ll be relatively safe.
But really, expecting a deterministic confirmation is a rookie mistake. Exchanges feel very asynchronous after a short while and the intuition should tell you that that a confirmation is just “ok, I hear ya”, not “effective immediately we’ll suspend our queues and reschedule trades to fulfill your urgent request”. The temporal uncertainty of order status is a quite common phenomenon, ime.
Occasionally sending out zero balances was another FTX special.
Also, ordinary banks might not advertise outrageous personal loans, but when your base salary starts at $300k and has a history of increasing (i.e., you don't _need_ the money and just want it to power a particular total comp over time profile, especially when you keep at least 50% of your total comp in cash rather than leveraged investments), most mainstream banks are more than happy to furnish somebody to personally service your account and make a loan like that happen.
Separately, if you live in parts of the country (US-specific) where salaries like that are common, you probably have a down payment of $200k+ if you have a mortgage and would have little problem grabbing a partially secured loan against your current equity.
You get to live in New York City which is unparalleled in the US in terms of urban amenities. The weather can be brutal though.
Or you live in Chicago which is like, still a solid city, but the weather is even worse.
I would disagree that trading firms are more boring than big tech. They are typically much smaller and leaner (even HRT and JS are like sub 2k?), and generally employees have massively more impact and ownership as opposed to being a cog in a 20k developer machine.
No, they granted stock initially and set aside those shares for the employee. The market paid the employees the gain between the initial grant price and the sell.
> This is only equivalent if you ignore downside risk, which in the case of an average young professional with no significant assets could ruin you. The RSUs give you significant upside over 4 years with absolutely zero risk.
You didn’t understand the example. The person taking the loan gets $300k/year cash and the Googler gets $180k/year. Setting aside $120k/year for the loan makes the risk the same so you won’t be “ruined”. Google failing in either scenario means they each have $180k in annual cash leftover.
Also, the cost of options to completely mitigate the incremental risk beyond that of an ordinary Googler is small (cumulatively a little less than the cumulative cost of interest for the loan). It's a small point that matters if you go out to actually implement the idea, but in the context of comparing Google (X total cash equivalents in their normal structure) to some other company (X salary), the investment opportunities in GOOG are sufficiently comparable that it might be reasonable to upweight Google's TC to 1.1X or so (or downweight it because you're restricted to GOOG itself and don't have more options), but I still think it's unreasonable to call it anything like 3.5X. Those aren't million dollar contracts; they're $X contracts paired with a forced investment that anyone else could choose to make without a huge downside (ignoring the much rarer actual $X contracts).
The other FAANGs are definitely laying people off, though. I personally think the recession is a self-fulfilling prophecy, but regardless of my take on the fundamentals, it is certainly fulfilling itself and everyone in tech should be pretty worried right now. This is not the year when you're going to increase your salary by jumping to a cool startup as employee #3.
Agreed, you won't get a big salary out of the gate because unproven startups paying huge salaries are dropping like flies as the easy capital dries up. On the other hand, the likelihood of getting in on the ground floor of the next FAANG is increasing as staffing costs decrease and behavioral changes increase during a recession. EV obviously still higher at established top-of-market companies, but when has that ever not been the case?
https://www.seattletimes.com/business/google-employees-brace...
https://www.cnbc.com/2022/12/22/google-tells-employees-highe...
Ken G definitely does the "Good to Great" getting the right people on the bus thing, which typically means the bottom 5-10% are cut, but even that was slowing before I left.
My personal background is a "well known hedge fund" and the turnover there was rather high.
Many quit because it wasn't "a good fit".
HFT companies also have much higher performance bars and rates of overwork/burnout. I'm willing to bet that people are leaving Jane Street, Citadel etc. (whether voluntarily or not) at much higher rates than large tech companies like Google.
Because they are more selective about fit to begin with I wouldn't be surprised if JS has better yearly retention than most FAANGs. People seem to hop between different big tech cos quite a bit (pre hiring freezes anyway).
" Fintech, a portmanteau of "financial technology", refers to firms using new technology to compete with traditional financial methods in the delivery of financial services. "
This is NOT what people like CIT, JS, etc. do.
So maybe FinTech is being hit very hard, but from what i hear Cit, JS are doing just fine (no real layoffs).
Additionally, the turnover for citadel is not evenly distributed across teams. Certain teams and orgs have a lot more turnover than others. Some teams are made up of people with <=2 YOE at company while others are made up of people with >=15 YOE at company.
Deferred compensation is probably not relevant to any of the major quant firms, payment is almost entirely cash. If you're high enough up to start receiving stake in a prop firm directly as part of your bonus you are an order of magnitude above the TC cited by the original comment.
Of course, the amount of comp you can get is a big reason people stick around. For that level of earning potential JS is really good on the WLB front. But it's not going to be as good as big tech is (or at least has been), since QT/QR just has different requirements as a field.
Currently I work at a large bank. My comp is all cash, but many of my colleagues get deferred stock compensation. Not sure what exactly the limit is but it's definitely much less than, say, $1m.
I worked over 10 years overseas at a Fortune 500 financial firm where my contract specified that my garden leave period jumped up if I ever accepted stock compensation. I got the feeling that was related to some legal requirements for shedding protections for "highly compensated executives". The garden leave worked out well, as I left right at the end of my paternity leave, so I effectively had almost half a year of paternity leave.
I didn't bother checking if I was getting the maximum legally allowed garden leave period in my jurisdiction, as the contract seemed fair. In any case, in some jurisdictions, I think some deferred equity compensation kicks in earlier than one might expect, in order to legally make more employees highly compensated executives.
I've always lived well within my means at my base salary, but even if I hadn't a good head hunter can often negotiate a signing bonus to partially backfill the lost expected TC , so you're effectively not really going down to your base salary during garden leave.
Large banks are for sure a different story, though I've heard of other large banks buying people out that they wanted to hire by offering the equivalent package in their stock of what the guy would've made in the other company's stock.
Deferred != stock.
> If you're high enough up to start receiving stake in a prop firm directly as part of your bonus you are an order of magnitude above the TC cited by the original comment.
Fair
I suppose by the technical definition the year end bonus cash is deferred comp, but I don't think 1 year is especially hard to plan around. People might stick out an extra few months because of it but it's not locking anyone in for years at a time. Plus even if you subtracted an entire year from the JS retention rates they are still quite good.
Regardless, the amounts cited by the original comment are only the base which isn't deferred by more than 2 weeks at a time, whatever your bonus potential is.
I have heard of it enough that I assume it is industry standard (much like the non compete).
Admittedly I am more familiar with the quant side than pure dev